Numerical schemes for rough parabolic equations
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Publication:434372
DOI10.1007/S00245-011-9157-6zbMATH Open1254.60073OpenAlexW3098866117MaRDI QIDQ434372FDOQ434372
Authors: A. Deya 
Publication date: 10 July 2012
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Abstract: This paper is devoted to the study of numerical approximation schemes for a class of parabolic equations on (0, 1) perturbed by a non-linear rough signal. It is the continuation of [8, 7], where the existence and uniqueness of a solution has been established. The approach combines rough paths methods with standard considerations on discretizing stochastic PDEs. The results apply to a geometric 2-rough path, which covers the case of the multidimensional fractional Brownian motion with Hurst index H extgreater{} 1/3.
Full work available at URL: https://arxiv.org/abs/1003.0587
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
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Cited In (7)
- Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma
- Non-linear rough heat equations
- An exponential Wagner-Platen type scheme for SPDEs
- A discrete approach to rough parabolic equations
- Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
- A mild Itô formula for SPDEs
- Solving linear parabolic rough partial differential equations
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